E I (Ireland) Risk Analysis And Volatility Evaluation

IE00B5VJPM77 -- Ireland Fund  

EUR 224.33  1.67  0.75%

Macroaxis considers E I to be unknown risk. E I Sturdza secures Sharpe Ratio (or Efficiency) of -0.2983 which denotes E I Sturdza had -0.2983% of return per unit of return volatility over the last 1 month. Macroaxis philosophy in predicting risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. E I Sturdza Strgc Eurp Value EUR exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm E I Sturdza Mean Deviation of 0.2571 to check risk estimate we provide.
Horizon     30 Days    Login   to change

E I Market Sensitivity

As returns on market increase, returns on owning E I are expected to decrease at a much smaller rate. During bear market, E I is likely to outperform the market.
One Month Beta |Analyze E I Sturdza Demand Trend
Check current 30 days E I correlation with market (DOW)
β = -0.1223
E I Almost negative betaE I Sturdza Beta Legend

E I Sturdza Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

E I Projected Return Density Against Market

Assuming 30 trading days horizon, E I Sturdza Strgc Eurp Value EUR has beta of -0.1223 . This indicates as returns on benchmark increase, returns on holding E I are expected to decrease at a much smaller rate. During bear market, however, E I Sturdza Strgc Eurp Value EUR is likely to outperform the market. Moreover, E I Sturdza Strgc Eurp Value EUR has an alpha of 0.1399 implying that it can potentially generate 0.1399% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of E I is -335.22. The daily returns are destributed with a variance of 1.84 and standard deviation of 1.36. The mean deviation of E I Sturdza Strgc Eurp Value EUR is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.14
β
Beta against DOW=0.12
σ
Overall volatility
=1.36
Ir
Information ratio =0.08

E I Return Volatility

E I Sturdza Strgc Eurp Value EUR accepts 1.3558% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

E I Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

E I Investment Opportunity

E I Sturdza Strgc Eurp Value EUR has a volatility of 1.36 and is 3.16 times more volatile than DOW. 12% of all equities and portfolios are less risky than E I. Compared to the overall equity markets, volatility of historical daily returns of E I Sturdza Strgc Eurp Value EUR is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use E I Sturdza Strgc Eurp Value EUR to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of E I to be traded at €246.76 in 30 days. As returns on market increase, returns on owning E I are expected to decrease at a much smaller rate. During bear market, E I is likely to outperform the market.

E I correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding E I Sturdza Strgc Eurp Value E and equity matching DJI index in the same portfolio.

E I Volatility Indicators

E I Sturdza Strgc Eurp Value EUR Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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